Question
Given the z-spread between level A and Level B is 249bps. Estimate the expected percentage loss on a bond with an Effective Duration of 9.8
Given the z-spread between level A and Level B is 249bps. Estimate the expected percentage loss on a bond with an Effective Duration of 9.8 and an Effective Convexity of 86.436 should a credit be downgraded from A to B. The correct answer is 21.72%. Can anyone give me a detailed process?
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Focus On Personal Finance
Authors: Jack Kapoor, Les Dlabay, Robert Hughes, Melissa Hart
6th Edition
125991965X, 978-1259919657
